2006

最新文章

• Testing the order of a model AI翻译
  作者：Chambaz, Antoine
  作者单位：IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom SudParis; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite
  摘要：This paper deals with order identification for nested models in the i.i.d. framework. We study the asymptotic efficiency of two generalized likelihood ratio tests of the order. They are based on two estimators which are proved to be strongly consistent. A version of Stein's lemma yields an optimal underestimation error exponent. The lemma also implies that the overestimation error exponent is necessarily trivial. Our tests admit nontrivial underestimation error exponents. The optimal underesti...
• Adaptive multiscale detection of filamentary structures in a background of uniform random points AI翻译
  作者：Arias-Castro, Ery; Donoho, David L.; Huo, Xiaoming
  作者单位：University of California System; University of California San Diego; Stanford University; University System of Georgia; Georgia Institute of Technology
  摘要：We are given a set of n points that might be uniformly distributed in the unit square [0, 1](2). We wish to test whether the set, although mostly consisting of uniformly scattered points, also contains a small fraction of points sampled from some (a priori unknown) curve with C-alpha-norm bounded by beta. An asymptotic detection threshold exists in this problem; for a constant T_ (alpha, beta) > 0, if the number of points sampled from the curve is smaller than T_(alpha, beta)n(1/(1+alpha)), re...
• Penalized maximum likelihood and semiparametric second-order efficiency AI翻译
  作者：Dalalyan, AS; Golubev, GK; Tsybakov, AB
  作者单位：Sorbonne Universite; Aix-Marseille Universite
  摘要：We consider the problem of estimation of a shift parameter of an unknown symmetric function in Gaussian white noise. We introduce a notion of semiparametric second-order efficiency and propose estimators that are semiparametrically efficient and second-order efficient in our model. These estimators are of a penalized maximum likelihood type with an appropriately chosen penalty. We argue that second-order efficiency is crucial in semiparametric problems since only the second-order terms in asym...
• Extended statistical modeling under symmetry; The link toward quantum mechanics AI翻译
  作者：Helland, Inge S.
  作者单位：University of Oslo
  摘要：We derive essential elements of quantum mechanics from a parametric structure extending that of traditional mathematical statistics. The basic setting is a set A of incompatible experiments, and a transformation group G on the cartesian product Pi of the parameter spaces of these experiments. The set of possible parameters is constrained to lie in a subspace of Pi, an orbit or a set of orbits of G. Each possible model is then connected to a parametric Hilbert space. The spaces of different exp...
• Stable limits of martingale transforms with application to the estimation of Garch parameters AI翻译
  作者：Mikosch, T; Straumann, D
  作者单位：University of Copenhagen; Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index alpha is an element of (2, 4). Then, in particular, the marginal distribution of the GARCH process has infinite fourth moment and standard asymptotic theory with normal limits and root n-rates breaks down. This was recently observed by Hall and Yao [Econometrica 71 (2003) 2...
• The shape of incomplete preferences AI翻译
  作者：Nau, Robert
  作者单位：Duke University
  摘要：Incomplete preferences provide the epistemic foundation for models of imprecise subjective probabilities and utilities that are used in robust Bayesian analysis and in theories of bounded rationality. This paper presents a simple axiomatization of incomplete preferences and characterizes the shape of their representing sets of probabilities and utilities. Deletion of the completeness assumption from the axiom system of Anscombe and Aumann yields preferences represented by a convex set of state...
• Efficient parameter estimation for self-similar processes (vol 17, pg 1749, 1989) AI翻译
  作者：Dahlhaus, Rainer
  作者单位：Ruprecht Karls University Heidelberg
• Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic normality AI翻译
  作者：Hallin, M; Vermandele, C; Werker, B
  作者单位：Universite Libre de Bruxelles; Universite Libre de Bruxelles; Tilburg University; Universite Libre de Bruxelles; Universite Libre de Bruxelles
  摘要：The classical theory of rank-based inference is entirely based either on ordinary ranks, which do not allow for considering location (intercept) parameters, or on signed ranks, which require an assumption of symmetry. If the median, in the absence of a symmetry assumption, is considered as a location parameter, the maximal invariance property of ordinary ranks is lost to the ranks and the signs. This new maximal invariant thus suggests a new class of statistics, based on ordinary ranks and sig...
• Discussion of equi-energy sampler by Kou, Zhou and Wong AI翻译
  作者：Wu, Ying Nian; Zhu, Song-Chun
  作者单位：University of California System; University of California Los Angeles; University of California System; University of California Los Angeles
• Discussion: Local Rademacher complexities and oracle inequalities in risk minimization AI翻译
  作者：Bartlett, Peter L.; Mendelson, Shahar
  作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; Australian National University